Is there a better way to extend a Bezier Curve?
Create a bezeir curve.

In edit mode select a control point at the start or end of the curve.

You can press:


E to extrude (and move) a new connected point
Ctrl Left Mouse Click to create a new connected point.
To make new control points that are unconnected to the existing curve deselect any previously selected control points and press Ctrl Left Mouse Click 
V to set handle type (vector straight, aligned, free, etc...) 
New points are the same type of active (last selected) control point.
AltC to close a curve


For more info see the Manual